Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0035
Annualized Std Dev 0.2236
Annualized Sharpe (Rf=0%) 0.0155

Row

Daily Return Statistics

Close
Observations 3349.0000
NAs 1.0000
Minimum -0.2598
Quartile 1 -0.0041
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0051
Maximum 0.1744
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0141
Skewness -1.3647
Kurtosis 57.2732

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0104
Loss Deviation 0.0135
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.5532
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0352
Modified VaR (95%) -0.0117
Modified ES (95%) -0.0117
From Trough To Depth Length To Trough Recovery
2013-05-08 2020-03-18 NA -0.5532 1982 1728 NA
2007-12-20 2009-03-09 2010-07-07 -0.5036 640 305 335
2011-04-29 2011-10-04 2012-09-10 -0.1902 345 110 235
2010-11-05 2010-12-13 2011-03-03 -0.1028 81 26 55
2012-10-09 2012-11-14 2013-02-13 -0.0895 86 25 61

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 0 -0.4 -0.4
2008 -0.7 0.5 1.9 -0.2 -0.3 0 0.8 1.9 0.3 7.1 -4.7 0.4 6.7
2009 2.1 -1.6 0.1 0.8 0.9 1 0.4 -0.2 -1.6 -0.8 1 0.1 2.3
2010 0.6 -0.3 0.7 0.9 0.7 0.9 0 0.2 0.4 0.1 -1.4 0.4 3.1
2011 0.5 0.9 -0.5 -1.9 -0.4 -0.2 2.4 0.3 -3.7 -0.7 -0.7 -0.3 -4.2
2012 0.2 0.2 -0.5 0.6 -1.1 0.1 -0.2 0 0.3 0.7 -0.9 -0.5 -1.2
2013 -0.1 0.4 0 -0.3 -0.4 0.5 -0.4 0.3 0.2 -0.5 0.8 0 0.3
2014 0.1 -0.7 -0.5 0.2 -0.2 -0.3 -1.3 0.4 -0.3 0.1 0.1 1.2 -1.4
2015 -0.8 0.2 0.5 0.5 0.2 0.8 0.5 0.2 -0.7 0.3 -0.3 -0.3 0.8
2016 0.1 1 -0.2 -0.3 0.4 0.6 -0.1 -0.4 0 -0.2 -0.6 0.3 0.6
2017 0.7 0.5 0 0.7 0.6 0.1 -1.9 -0.4 0.5 -0.5 0.9 0.3 1.7
2018 -0.3 0 -0.3 0.8 -0.6 -0.4 0.6 0.4 -0.5 1 1.3 0.6 2.5
2019 0.3 0.3 0.5 0.9 -0.8 0.1 0.6 0 -0.1 0.2 0 0.7 2.7
2020 -0.2 -5.9 -9 -3.1 1.1 0.3 0.7 1.6 0.1 -0.4 1.1 0.4 -13.1
2021 0.7 1.5 0 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-11-28  25.0 SPY    147.  3.20e-2   0.0172  -0.0454   0.004    0.0629    0.243    0.574 GLD    79.6 -0.0066   0.0013
2 2007-11-29  25.0 SPY    147.  3.00e-4   0.0388  -0.0384   0.007    0.0587    0.249    0.605 GLD    78.3 -0.0162  -0.0136
3 2007-11-30  25.0 SPY    149.  1.01e-2   0.0314  -0.0387   0.0072   0.0583    0.261    0.577 GLD    77.3 -0.0123  -0.0484
4 2007-12-03  25   SPY    148. -6.60e-3   0.0477  -0.0222  -0.0094   0.0509    0.239    0.571 GLD    78.3  0.0124  -0.0371
5 2007-12-04  25   SPY    146. -8.90e-3   0.0266  -0.032   -0.0097   0.0438    0.226    0.555 GLD    79.4  0.0143  -0.0087
6 2007-12-05  25   SPY    149.  1.67e-2   0.0114  -0.0083   0.0046   0.0532    0.248    0.602 GLD    78.6 -0.0097  -0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart